Yes that's right, this will lead to the involvement of a third party. Does any mechanism like this always allow third parties to access our keys? maybe an encryption method or some other method can be used so that these third parties still can't figure out our key?
Yes, maybe if the email link is okay, we can create fake email data to keep the data safe
Nope. If they have the access to grant you your own key, they essentially own your key.
The closest thing to trustless storage would be a client side encryption but that'll be complex to implement for it to be truly trustless. It is far, far easier for the user to just make their own backups of their key. Its that simple.